******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230412_204638 produced at 2023-04-12 21:37:17.970375 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.17 -0.18 0.0 8.728744e+06 -8.728744e+06 -0.17 -0.17 -20.16 999999999.0 -19 -20 caleb_strategy_v1 US10U False False 0.05 -0.10 -0.16 0.0 4.785485e+07 -4.785485e+07 -0.10 -0.14 -3.27 999999999.0 -2 -3 caleb_strategy_v1 CHF False False 0.06 -0.11 -0.13 0.0 5.515782e+07 -5.515782e+07 -0.11 -0.11 -2.34 999999999.0 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.10 -0.10 0.0 1.378161e+07 -1.378161e+07 -0.10 -0.10 -7.02 999999999.0 -7 -7 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.09 0.0 5.412557e+07 -5.412557e+07 -0.16 -0.16 -1.73 999999999.0 -3 -3 caleb_strategy_v1 JPY False False 0.04 -0.22 -0.08 0.0 3.719769e+07 -3.719769e+07 -0.22 -0.22 -2.17 999999999.0 -6 -6 caleb_strategy_v1 US20 False False 0.05 0.00 -0.08 0.0 5.191887e+07 -5.191887e+07 0.00 0.00 -1.53 999999999.0 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.09 -0.05 0.0 4.434006e+07 -4.434006e+07 -0.09 -0.09 -1.21 999999999.0 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 5.964080e+07 -5.964080e+07 0.00 0.00 -0.51 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.03 0.0 7.968461e+06 -7.968461e+06 -0.02 -0.01 -3.77 999999999.0 -2 -1 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.02 0.0 1.124733e+07 -1.124733e+07 -0.06 -0.06 -1.94 999999999.0 -5 -5 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8.948434e+06 -8.948434e+06 -0.01 -0.01 -1.02 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.02 0.00 -0.01 0.0 1.551167e+07 -1.551167e+07 0.00 0.00 -0.34 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 5.759010e+07 -5.759010e+07 0.00 0.00 -0.14 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 1.399541e+07 -1.399541e+07 -0.01 -0.01 -0.36 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.03 0.00 -0.01 0.0 2.535259e+07 -2.535259e+07 0.00 0.00 -0.44 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.01 0.0 1.178871e+06 -1.178871e+06 -0.01 -0.01 -4.88 999999999.0 -5 -5 caleb_strategy_v1 RUSSELL False False 0.00 -0.28 -0.01 0.0 3.504640e+06 -3.504640e+06 -0.28 -0.30 -1.63 999999999.0 -81 -86 caleb_strategy_v1 DAX False False 0.01 0.00 -0.00 0.0 6.796118e+06 -6.796118e+06 0.00 0.00 -0.07 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.02 -0.00 0.0 1.796748e+07 -1.796748e+07 0.02 0.00 -0.19 999999999.0 1 0 caleb_strategy_v1 EUROSTX False False 0.02 0.04 0.00 0.0 1.840347e+07 -1.840347e+07 0.04 0.06 0.20 999999999.0 2 3 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.273651e+07 -1.273651e+07 0.00 0.00 0.21 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.05 0.00 0.00 0.0 4.537692e+07 -4.537692e+07 0.00 0.05 0.04 999999999.0 0 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 2.021734e+07 -2.021734e+07 0.00 0.00 0.59 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.10 0.49 0.01 0.0 9.811501e+07 -9.811501e+07 0.49 0.59 0.12 999999999.0 5 6 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 1.025072e+07 -1.025072e+07 0.02 0.01 1.02 999999999.0 2 1 caleb_strategy_v1 US10 False False 0.05 0.00 0.01 0.0 4.542134e+07 -4.542134e+07 0.00 0.00 0.24 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.01 0.0 1.656990e+07 -1.656990e+07 0.00 0.00 0.32 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.01 0.0 2.634315e+07 -2.634315e+07 0.00 0.00 0.33 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.771622e+07 -2.771622e+07 0.00 0.03 0.37 999999999.0 0 1 caleb_strategy_v1 COTTON2 False False 0.02 0.02 0.01 0.0 1.615700e+07 -1.615700e+07 0.02 0.03 0.91 999999999.0 1 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 3.039368e+07 -3.039368e+07 0.00 0.00 0.76 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.02 0.0 4.321770e+07 -4.321770e+07 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.08 0.08 0.02 0.0 8.076050e+07 -8.076050e+07 0.08 0.00 0.26 999999999.0 1 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.324257e+06 -4.324257e+06 0.00 0.00 5.39 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.03 0.02 0.0 9.148509e+06 -9.148509e+06 0.03 0.02 2.40 999999999.0 3 2 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 6.636592e+06 -6.636592e+06 0.00 0.01 2.79 999999999.0 0 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 3.991194e+07 -3.991194e+07 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.437379e+07 -2.437379e+07 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.03 0.0 4.353976e+07 -4.353976e+07 0.00 0.00 0.62 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.04 0.03 0.0 1.090112e+07 -1.090112e+07 0.04 0.05 2.39 999999999.0 4 5 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 2.566643e+07 -2.566643e+07 0.00 0.00 1.00 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 1.070399e+07 -1.070399e+07 0.00 0.00 2.88 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.03 0.00 0.04 0.0 2.586847e+07 -2.586847e+07 0.00 0.00 1.58 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.04 0.0 5.585416e+07 -5.585416e+07 0.00 0.00 0.72 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.21 0.05 0.0 3.066339e+07 -3.066339e+07 0.21 0.21 1.56 999999999.0 7 7 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.05 0.0 1.019086e+08 -1.019086e+08 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 4.912024e+07 -4.912024e+07 0.05 0.10 1.09 999999999.0 1 2 caleb_strategy_v1 CAC False False 0.03 0.00 0.05 0.0 3.192194e+07 -3.192194e+07 0.00 0.03 1.50 999999999.0 0 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.06 0.0 2.923639e+07 -2.923639e+07 0.00 0.00 2.04 999999999.0 0 0 caleb_strategy_v1 OAT False False 0.06 0.06 0.07 0.0 5.560928e+07 -5.560928e+07 0.06 0.00 1.27 999999999.0 1 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.15 0.09 0.0 3.097233e+07 -3.097233e+07 0.15 0.12 2.92 999999999.0 5 4 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.74 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.06 0.29 0.25 0.0 5.801961e+07 -5.801961e+07 0.29 0.35 4.36 999999999.0 5 6 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.26 0.0 0.000000e+00 0.000000e+00 0.00 0.00 31.56 999999999.0 0 0 caleb_strategy_v1 BOBL False False 0.05 0.10 0.33 0.0 5.047123e+07 -5.047123e+07 0.10 0.10 6.47 999999999.0 2 2 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 16.4 Shocked risk 42.9 Sum abs risk 45.5 Leverage 2.86 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2549049.35, 'annual_cash_vol_target': 637262.3375, 'daily_cash_vol_target': 39828.89609375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6715 0.7366 11.7856 BITCOIN 980.8941 30050.0000 3.2642 52.2273 BOBL 0.5195 117.6800 0.4415 7.0634 BTP 0.7676 114.5300 0.6702 10.7235 BUND 0.9388 135.2800 0.6939 11.1031 BUXL 2.1334 139.0600 1.5342 24.5466 CAC 71.0712 7443.0000 0.9549 15.2780 CAD 0.0031 0.7452 0.4148 6.6367 CANOLA 8.2443 741.5000 1.1118 17.7895 CHF 0.0060 1.1248 0.5355 8.5674 COCOA 35.3068 2867.0000 1.2315 19.7038 COFFEE 3.5321 188.4000 1.8748 29.9969 COPPER 0.0473 4.0695 1.1620 18.5917 CORN 4.5312 555.7500 0.8153 13.0454 COTTON2 1.3885 82.3700 1.6857 26.9716 CRUDE_W 1.3167 78.9500 1.6678 26.6841 DAX 157.4780 15846.0000 0.9938 15.9008 DOW 248.5764 33834.0000 0.7347 11.7551 EUR 0.0059 1.1038 0.5324 8.5187 EUROSTX 46.5815 4291.0000 1.0856 17.3690 FEEDCOW 1.3662 226.0500 0.6044 9.6698 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.2234 774.7500 1.9649 31.4391 GASOILINE 0.0444 2.7540 1.6107 25.7707 GAS_US 0.1128 2.2810 4.9461 79.1377 GBP 0.0073 1.2506 0.5855 9.3686 GOLD_micro 18.7589 2031.2000 0.9235 14.7766 HEATOIL 0.0435 2.6425 1.6473 26.3568 JPY 0.0001 0.0076 0.6613 10.5816 LEANHOG 1.2905 87.8250 1.4694 23.5107 LIVECOW 1.0161 164.8500 0.6164 9.8619 MXP 0.0004 0.0546 0.8117 12.9878 NASDAQ 128.5291 12988.5000 0.9896 15.8330 NIKKEI 261.6933 27645.0000 0.9466 15.1459 NZD 0.0045 0.6213 0.7276 11.6423 OAT 0.8571 129.6600 0.6610 10.5766 OJ 4.6331 263.6000 1.7576 28.1220 PALLAD 29.9482 1468.0000 2.0401 32.6411 PLAT 17.0343 1030.7000 1.6527 26.4431 REDWHEAT 10.8466 844.7500 1.2840 20.5439 ROBUSTA 27.8909 2332.0000 1.1960 19.1361 RUSSELL 22.1923 1786.7000 1.2421 19.8733 SILVER-mini 0.3853 25.8500 1.4905 23.8484 SOYBEAN 10.9892 1308.5000 0.8398 13.4373 SOYMEAL 5.4138 458.0000 1.1821 18.9130 SOYOIL 0.8555 54.1100 1.5810 25.2956 SP400 28.2641 2501.0000 1.1301 18.0818 SP500 33.2130 4117.2500 0.8067 12.9069 SUGAR11 0.3161 23.3300 1.3548 21.6765 US10 0.5887 115.7812 0.5084 8.1350 US10U 0.7526 121.9844 0.6169 9.8709 US20 1.0219 132.3438 0.7722 12.3546 US30 1.4546 142.3750 1.0217 16.3470 US5 0.4467 110.1641 0.4055 6.4877 VIX 0.7238 22.2500 3.2531 52.0493 WHEAT 9.5745 713.5000 1.3419 21.4705 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.50 0.74 494.63 1.00 494.63 39828.9 80.52 2.55 20.53 BITCOIN 30.05 3.26 98.09 1.00 98.09 39828.9 406.05 -5.10 -207.03 BOBL 1176.80 0.44 519.52 1.09 566.06 39828.9 70.36 12.74 89.64 BTP 1145.30 0.67 767.60 1.09 836.38 39828.9 47.62 11.35 54.06 BUND 1352.80 0.69 938.76 1.09 1022.88 39828.9 38.94 15.52 60.45 BUXL 1390.60 1.53 2133.41 1.09 2324.56 39828.9 17.13 -3.55 -6.09 CAC 744.30 0.95 710.71 1.09 774.39 39828.9 51.43 10.40 53.50 CAD 745.25 0.41 309.12 1.00 309.12 39828.9 128.84 8.88 114.38 CANOLA 148.30 1.11 164.89 0.74 122.23 39828.9 325.86 18.02 587.24 CHF 1406.00 0.54 752.86 1.00 752.86 39828.9 52.90 -11.83 -62.60 COCOA 286.70 1.23 353.07 1.00 353.07 39828.9 112.81 -7.90 -89.06 COFFEE 706.50 1.87 1324.55 1.00 1324.55 39828.9 30.07 9.59 28.84 COPPER 1017.37 1.16 1182.17 1.00 1182.17 39828.9 33.69 5.01 16.89 CORN 277.88 0.82 226.56 1.00 226.56 39828.9 175.80 15.08 265.02 COTTON2 411.85 1.69 694.27 1.00 694.27 39828.9 57.37 10.55 60.51 CRUDE_W 789.50 1.67 1316.69 1.00 1316.69 39828.9 30.25 7.30 22.07 DAX 158.46 0.99 157.48 1.09 171.59 39828.9 232.12 -0.06 -1.38 DOW 169.17 0.73 124.29 1.00 124.29 39828.9 320.46 3.06 98.03 EUR 1379.69 0.53 734.57 1.00 734.57 39828.9 54.22 -8.53 -46.27 EUROSTX 429.10 1.09 465.82 1.09 507.55 39828.9 78.47 0.91 7.17 FEEDCOW 1130.25 0.60 683.08 1.00 683.08 39828.9 58.31 -7.71 -44.97 FTSE100 707.00 0.82 576.59 1.24 666.67 39828.9 59.74 7.70 45.99 GASOIL 774.75 1.96 1522.34 1.00 1522.34 39828.9 26.16 4.08 10.67 GASOILINE 1156.68 1.61 1863.03 1.00 1863.03 39828.9 21.38 0.41 0.89 GAS_US 228.10 4.95 1128.21 1.00 1128.21 39828.9 35.30 -19.14 -67.58 GBP 781.62 0.59 457.67 1.00 457.67 39828.9 87.03 10.06 87.53 GOLD_micro 203.12 0.92 187.59 1.00 187.59 39828.9 212.32 -7.93 -168.45 HEATOIL 1109.85 1.65 1828.26 1.00 1828.26 39828.9 21.79 4.01 8.74 JPY 948.19 0.66 627.08 1.00 627.08 39828.9 63.51 -5.27 -33.48 LEANHOG 351.30 1.47 516.21 1.00 516.21 39828.9 77.16 -19.48 -150.28 LIVECOW 659.40 0.62 406.44 1.00 406.44 39828.9 98.00 6.01 58.90 MXP 272.85 0.81 221.48 1.00 221.48 39828.9 179.83 13.10 235.63 NASDAQ 2597.70 0.99 2570.58 1.00 2570.58 39828.9 15.49 5.65 8.76 NIKKEI 27645.00 0.95 26169.33 0.01 198.98 39828.9 200.16 8.30 166.18 NZD 621.30 0.73 452.08 1.00 452.08 39828.9 88.10 6.47 57.03 OAT 1296.60 0.66 857.10 1.09 933.89 39828.9 42.65 14.80 63.12 OJ 395.40 1.76 694.97 1.00 694.97 39828.9 57.31 -3.39 -19.42 PALLAD 1468.00 2.04 2994.82 1.00 2994.82 39828.9 13.30 -4.27 -5.68 PLAT 515.35 1.65 851.72 1.00 851.72 39828.9 46.76 5.28 24.70 REDWHEAT 422.38 1.28 542.33 1.00 542.33 39828.9 73.44 8.27 60.76 ROBUSTA 233.20 1.20 278.91 1.00 278.91 39828.9 142.80 12.95 185.00 RUSSELL 89.34 1.24 110.96 1.00 110.96 39828.9 358.94 -0.88 -31.56 SILVER-mini 646.25 1.49 963.25 1.00 963.25 39828.9 41.35 -4.80 -19.86 SOYBEAN 654.25 0.84 549.46 1.00 549.46 39828.9 72.49 2.34 16.96 SOYMEAL 458.00 1.18 541.38 1.00 541.38 39828.9 73.57 -0.43 -3.16 SOYOIL 324.66 1.58 513.28 1.00 513.28 39828.9 77.60 2.99 23.24 SP400 2501.00 1.13 2826.41 1.00 2826.41 39828.9 14.09 1.69 2.38 SP500 2058.62 0.81 1660.65 1.00 1660.65 39828.9 23.98 3.78 9.06 SUGAR11 261.30 1.35 354.00 1.00 354.00 39828.9 112.51 6.67 75.01 US10 1157.81 0.51 588.67 1.00 588.67 39828.9 67.66 0.91 6.15 US10U 1219.84 0.62 752.56 1.00 752.56 39828.9 52.92 -4.23 -22.41 US20 1323.44 0.77 1021.90 1.00 1021.90 39828.9 38.98 -5.33 -20.77 US30 1423.75 1.02 1454.63 1.00 1454.63 39828.9 27.38 3.13 8.57 US5 1101.64 0.41 446.70 1.00 446.70 39828.9 89.16 1.33 11.84 VIX 222.50 3.25 723.81 1.00 723.81 39828.9 55.03 -19.44 -106.96 WHEAT 356.75 1.34 478.73 1.00 478.73 39828.9 83.20 -8.21 -68.27 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 20.530 0.006 2.5 0.328 BITCOIN -207.027 0.009 2.5 -4.878 BOBL 89.638 0.029 2.5 6.468 BTP 54.058 0.008 2.5 1.092 BUND 60.451 0.029 2.5 4.362 BUXL -6.087 0.034 2.5 -0.511 CAC 53.504 0.011 2.5 1.504 CAD 114.383 0.007 2.5 2.042 CANOLA 587.244 0.004 2.5 5.391 CHF -62.601 0.015 2.5 -2.343 COCOA -89.062 0.009 2.5 -1.940 COFFEE 28.844 0.005 2.5 0.374 COPPER 16.892 0.011 2.5 0.462 CORN 265.018 0.004 2.5 2.390 COTTON2 60.513 0.006 2.5 0.911 CRUDE_W 22.072 0.053 2.5 2.916 DAX -1.379 0.022 2.5 -0.075 DOW 98.035 0.011 2.5 2.794 EUR -46.274 0.015 2.5 -1.732 EUROSTX 7.167 0.011 2.5 0.201 FEEDCOW -44.974 0.011 2.5 -1.209 FTSE100 45.988 0.041 2.5 4.741 GASOIL 10.673 0.029 2.5 0.761 GASOILINE 0.886 0.016 2.5 0.036 GAS_US -67.579 0.006 2.5 -1.018 GBP 87.528 0.007 2.5 1.563 GOLD_micro -168.453 0.009 2.5 -3.769 HEATOIL 8.736 0.029 2.5 0.623 JPY -33.477 0.026 2.5 -2.167 LEANHOG -150.275 0.019 2.5 -7.021 LIVECOW 58.903 0.011 2.5 1.583 MXP 235.625 0.005 2.5 2.885 NASDAQ 8.761 0.022 2.5 0.476 NIKKEI 166.180 0.076 2.5 31.563 NZD 57.035 0.006 2.5 0.911 OAT 63.120 0.008 2.5 1.275 OJ -19.421 0.007 2.5 -0.339 PALLAD -5.678 0.010 2.5 -0.137 PLAT 24.705 0.010 2.5 0.594 REDWHEAT 60.757 0.002 2.5 0.324 ROBUSTA 184.998 0.005 2.5 2.398 RUSSELL -31.557 0.021 2.5 -1.635 SILVER-mini -19.865 0.009 2.5 -0.444 SOYBEAN 16.964 0.024 2.5 1.000 SOYMEAL -3.162 0.024 2.5 -0.186 SOYOIL 23.238 0.004 2.5 0.213 SP400 2.385 0.021 2.5 0.124 SP500 9.057 0.011 2.5 0.258 SUGAR11 75.008 0.005 2.5 1.018 US10 6.152 0.015 2.5 0.236 US10U -22.411 0.058 2.5 -3.265 US20 -20.772 0.029 2.5 -1.531 US30 8.572 0.034 2.5 0.720 US5 11.841 0.015 2.5 0.454 VIX -106.957 0.075 2.5 -20.156 WHEAT -68.271 0.002 2.5 -0.364 ==================== Position diags ==================== AUD 1.29 BITCOIN 9.57 BOBL 5.08 BTP 0.96 BUND 2.81 BUXL 1.44 CAC 1.45 CAD 2.30 CANOLA 2.99 CHF 1.98 COCOA 2.46 COFFEE 0.39 COPPER 0.92 CORN 1.59 COTTON2 0.86 CRUDE_W 4.00 DAX 12.61 DOW 9.13 EUR 2.03 EUROSTX 2.21 FEEDCOW 1.57 FTSE100 6.16 GASOIL 1.87 GASOILINE 0.88 GAS_US 0.53 GBP 1.55 GOLD_micro 4.75 HEATOIL 1.55 JPY 4.11 LEANHOG 3.60 LIVECOW 2.63 MXP 2.20 NASDAQ 0.84 NIKKEI 38.02 NZD 1.41 OAT 0.86 OJ 1.00 PALLAD 0.32 PLAT 1.13 REDWHEAT 0.39 ROBUSTA 1.85 RUSSELL 18.59 SILVER-mini 0.93 SOYBEAN 4.27 SOYMEAL 4.34 SOYOIL 0.71 SP400 0.73 SP500 0.68 SUGAR11 1.53 US10 2.60 US10U 7.71 US20 2.87 US30 2.30 US5 3.42 VIX 10.37 WHEAT 0.44 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.2 0.5 0.0 0 BITCOIN -4.9 -5.8 -3.9 -5.0 -5 BOBL 6.5 6.0 7.0 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.4 4.1 4.6 5.0 5 BUXL -0.5 -0.7 -0.4 0.0 0 CAC 1.5 1.4 1.6 0.0 0 CAD 2.0 1.8 2.3 0.0 0 CANOLA 5.4 5.1 5.7 NaN 0 CHF -2.3 -2.5 -2.1 -2.0 -2 COCOA -1.9 -2.2 -1.7 -5.0 -5 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 2.4 2.2 2.5 4.0 4 COTTON2 0.9 0.8 1.0 1.0 1 CRUDE_W 2.9 2.5 3.3 5.0 5 DAX -0.1 -1.3 1.2 0.0 0 DOW 2.8 1.9 3.7 0.0 0 EUR -1.7 -1.9 -1.5 -3.0 -3 EUROSTX 0.2 -0.0 0.4 2.0 2 FEEDCOW -1.2 -1.4 -1.1 -2.0 -2 FTSE100 4.7 4.1 5.4 0.0 0 GASOIL 0.8 0.6 0.9 0.0 0 GASOILINE 0.0 -0.1 0.1 0.0 0 GAS_US -1.0 -1.1 -1.0 -1.0 -1 GBP 1.6 1.4 1.7 7.0 7 GOLD_micro -3.8 -4.2 -3.3 -2.0 -2 HEATOIL 0.6 0.5 0.8 0.0 0 JPY -2.2 -2.6 -1.8 -6.0 -6 LEANHOG -7.0 -7.4 -6.7 -7.0 -7 LIVECOW 1.6 1.3 1.8 0.0 0 MXP 2.9 2.7 3.1 0.0 0 NASDAQ 0.5 0.4 0.6 0.0 0 NIKKEI 31.6 27.8 35.4 0.0 0 NZD 0.9 0.8 1.1 0.0 0 OAT 1.3 1.2 1.4 1.0 1 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.2 -0.1 0.0 0 PLAT 0.6 0.5 0.7 0.0 0 REDWHEAT 0.3 0.3 0.4 0.0 0 ROBUSTA 2.4 2.2 2.6 3.0 3 RUSSELL -1.6 -3.5 0.2 -81.0 -81 SILVER-mini -0.4 -0.5 -0.4 0.0 0 SOYBEAN 1.0 0.6 1.4 0.0 0 SOYMEAL -0.2 -0.6 0.2 1.0 1 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 0.1 0.1 0.2 5.0 5 SP500 0.3 0.2 0.3 1.0 1 SUGAR11 1.0 0.9 1.2 2.0 2 US10 0.2 -0.0 0.5 NaN 0 US10U -3.3 -4.0 -2.5 -2.0 -2 US20 -1.5 -1.8 -1.2 0.0 0 US30 0.7 0.5 0.9 0.0 0 US5 0.5 0.1 0.8 0.0 0 VIX -20.2 -21.2 -19.1 -19.0 -19 WHEAT -0.4 -0.4 -0.3 -1.0 -1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.1 -0.2 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 1.2 2.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.2 -0.3 -0.3 -0.2 BITCOIN 0.1 0.2 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.3 0.0 -0.2 0.1 0.4 -0.2 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.0 0.0 0.6 -4.8 0.1 0.0 0.1 0.0 0.0 0.0 0.1 -0.1 -0.2 0.1 0.3 BOBL 0.1 0.3 0.3 0.0 0.0 0.0 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 0.0 0.1 0.6 0.2 0.0 0.1 0.0 -0.1 -0.0 -0.2 0.0 1.7 2.4 0.0 0.0 -0.0 0.0 -0.1 0.0 1.2 -0.0 -0.1 -0.0 -0.1 BTP 0.0 0.1 0.2 0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 0.1 -0.0 -0.2 0.0 0.2 0.7 0.5 0.2 0.2 0.1 0.0 -0.0 -0.1 0.0 -1.3 2.2 0.1 0.0 0.0 0.0 -0.0 0.0 2.7 -0.1 -0.2 -0.1 0.1 BUND 0.1 0.3 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 0.0 0.0 0.5 0.6 0.2 0.2 0.0 -0.1 -0.0 -0.2 0.0 1.1 2.5 0.0 0.0 -0.0 0.0 -0.1 0.0 2.8 -0.0 -0.2 -0.1 -0.1 BUXL 0.0 0.2 0.1 0.1 0.0 0.0 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 0.0 -0.1 0.2 0.0 0.1 0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.9 -2.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.6 -0.1 -0.3 -0.1 -0.2 CAC 0.1 -0.2 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.4 0.1 0.3 0.1 0.3 1.3 0.1 0.1 0.0 0.1 0.2 0.0 0.2 0.0 -1.7 1.7 0.0 0.0 0.1 0.0 0.1 0.0 1.3 0.0 -0.2 0.0 0.1 CAD 0.2 -0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.0 0.0 -0.2 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 2.4 2.2 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 0.1 -0.1 -0.1 CANOLA 0.0 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 -0.2 -0.0 -0.2 1.4 0.5 0.3 0.3 -0.2 -0.2 -0.0 -0.1 -0.0 3.7 3.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.6 -0.0 -0.2 -0.2 -0.3 CHF 0.2 0.0 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 0.1 0.1 0.2 -0.9 -0.6 -0.3 -0.3 0.1 0.1 0.0 0.0 0.0 -0.9 -2.4 0.1 0.0 0.0 0.0 0.0 0.0 -2.5 0.2 0.1 0.1 0.0 COCOA 0.2 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.1 0.1 0.3 0.3 -0.1 0.0 0.0 0.2 0.2 0.0 0.1 0.0 -3.1 -2.2 0.1 0.0 0.1 0.0 0.0 0.0 -1.7 0.1 0.4 0.3 0.3 COFFEE 0.0 0.1 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.2 0.4 0.1 0.1 0.1 0.1 -0.0 0.0 -0.1 0.0 1.8 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.8 0.1 0.4 0.1 0.2 COPPER 0.0 -0.1 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.0 -0.0 0.1 2.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.4 -0.3 -0.4 -0.3 -0.1 CORN 0.1 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 -0.0 -0.1 -0.0 -0.3 1.2 0.8 0.4 0.4 -0.2 -0.2 -0.0 -0.0 -0.0 1.8 2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 2.7 -0.1 -0.1 -0.3 -0.3 COTTON2 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.3 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 3.3 3.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.5 0.0 0.1 -0.1 -0.0 CRUDE_W 0.2 -0.0 -0.1 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 0.0 0.1 -0.1 0.0 0.1 0.7 0.5 0.2 0.2 0.0 -0.0 0.0 0.0 0.0 -1.1 2.1 0.0 0.0 -0.0 0.0 0.0 0.0 -0.3 0.1 0.4 0.0 0.1 DAX 0.1 -0.3 0.3 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.1 0.2 0.1 0.3 -0.2 -0.2 -0.1 -0.1 0.1 0.2 0.0 0.1 0.0 -2.8 2.2 0.0 0.0 0.1 0.0 0.1 0.0 -0.5 -0.0 -0.3 -0.0 0.1 DOW 0.2 -0.2 -0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.1 0.2 0.1 0.0 0.0 -0.0 -0.5 -0.2 -0.1 -0.1 0.0 -0.0 0.0 0.0 0.0 -0.1 2.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.3 0.1 0.0 -0.0 -0.2 EUR 0.2 -0.0 0.2 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 -0.0 0.1 0.2 -0.4 -0.3 -0.1 -0.2 0.1 0.1 0.0 0.0 0.0 -1.6 -2.3 0.1 0.0 0.0 0.0 -0.0 0.0 -1.1 0.1 0.1 0.1 0.1 EUROSTX 0.1 -0.2 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.1 0.3 0.1 0.3 -0.1 0.2 0.1 0.1 0.1 0.2 0.0 0.2 0.0 -2.5 -1.8 0.0 0.0 0.1 0.0 0.1 0.0 2.2 -0.0 -0.1 0.0 0.0 FEEDCOW 0.1 0.3 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.2 0.0 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.2 0.0 0.1 0.0 -3.4 2.7 0.1 0.0 0.1 0.0 0.0 0.0 -2.7 0.0 0.4 0.3 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL 0.1 -0.1 -0.2 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.3 0.0 0.2 -0.0 -0.3 1.4 0.9 0.4 0.4 -0.1 -0.1 0.0 0.0 -0.0 0.2 -3.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 2.7 -0.0 -0.2 -0.1 -0.2 GASOILINE 0.2 0.1 0.1 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 0.1 0.1 0.1 0.1 0.2 1.7 0.6 0.3 0.2 0.1 0.1 0.0 0.1 0.0 -2.3 -2.6 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.3 0.1 0.3 GAS_US -0.1 -0.1 -0.3 -0.0 0.0 -0.1 0.1 0.0 0.0 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -1.6 -0.5 -0.4 -0.3 -0.2 -0.2 -0.0 -0.2 -0.0 2.1 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.3 -0.4 -0.2 -0.3 GBP 0.2 0.1 0.2 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 -0.0 0.1 0.2 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 1.0 2.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.1 0.2 -0.0 GOLD_micro 0.2 0.2 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.3 0.0 0.0 0.1 0.3 -0.9 -0.4 -0.2 -0.2 0.2 0.2 0.0 0.1 0.0 -0.4 -2.7 0.1 0.0 0.0 0.0 0.0 0.0 -1.9 -0.0 0.1 0.2 0.2 HEATOIL 0.1 -0.2 -0.2 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.3 0.0 0.1 -0.0 -0.3 1.4 0.9 0.5 0.5 -0.1 -0.1 0.0 0.0 0.0 -0.5 -2.7 -0.0 0.0 -0.0 0.0 0.0 0.0 2.8 -0.0 -0.0 -0.1 -0.1 JPY 0.0 -0.0 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.0 -0.1 -1.1 -0.5 -0.3 -0.3 0.0 0.0 -0.0 -0.1 -0.0 0.3 2.0 0.0 0.0 0.0 0.0 -0.1 0.0 -2.3 -0.2 -0.2 -0.0 -0.0 LEANHOG -0.2 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -0.4 -1.6 -0.8 -0.4 -0.4 -0.2 -0.2 -0.0 -0.2 -0.0 3.0 -2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.3 -0.3 LIVECOW 0.2 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.2 0.0 0.2 1.6 -0.2 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -3.3 2.6 0.0 0.0 0.0 0.0 0.0 0.0 -0.8 0.0 0.4 0.2 0.3 MXP 0.1 -0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 0.4 0.0 0.3 1.3 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 2.2 0.1 0.0 0.1 0.0 0.1 0.0 2.2 -0.0 -0.1 0.2 0.3 NASDAQ 0.2 0.2 0.4 0.0 0.0 0.1 0.1 0.0 0.1 -0.1 0.1 0.0 -0.2 0.1 0.4 -0.5 -0.2 -0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 -0.3 1.9 0.1 -0.0 0.1 0.0 0.0 0.0 -0.4 -0.2 0.2 0.3 0.3 NIKKEI 0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.2 0.3 0.5 0.2 0.3 0.1 0.1 0.0 0.0 0.0 0.8 -1.9 0.0 -0.0 0.0 0.0 -0.0 0.0 2.6 -0.1 -0.2 0.2 -0.1 NZD 0.1 -0.1 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.0 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.3 2.3 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.7 -0.0 -0.3 -0.1 -0.1 OAT 0.1 0.2 0.2 0.0 0.0 0.0 0.1 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 0.0 -0.0 0.8 0.5 0.2 0.2 0.0 -0.1 -0.0 -0.2 0.0 0.8 2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 -0.0 -0.2 -0.1 -0.1 OJ 0.0 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.7 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 0.0 0.0 0.0 0.0 0.0 0.0 2.8 0.0 0.5 0.3 0.3 PALLAD 0.1 -0.1 -0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.3 0.0 -0.4 -0.0 -0.3 -0.1 -0.1 -0.0 -0.0 -0.2 -0.2 0.0 -0.2 -0.0 3.7 -2.6 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 -0.4 -0.3 -0.3 PLAT 0.1 0.1 -0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.1 -0.2 -0.1 -0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.2 2.5 0.0 0.0 -0.0 0.0 0.0 0.0 0.2 0.0 -0.3 -0.1 -0.3 REDWHEAT 0.2 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.2 0.0 -0.3 0.0 0.1 1.2 0.2 0.2 0.2 0.0 -0.1 0.0 -0.1 0.0 -0.3 2.6 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.4 -0.0 0.0 ROBUSTA 0.2 0.2 0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.0 0.1 0.1 0.3 1.0 0.4 0.2 0.2 0.2 0.2 0.0 0.1 0.0 -1.2 2.1 0.1 0.0 0.0 0.0 0.0 0.0 0.7 0.0 0.4 0.3 0.3 RUSSELL -0.0 -0.3 0.1 0.0 0.0 0.1 0.1 0.0 0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.3 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.6 2.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.4 -0.3 -0.2 SILVER-mini 0.2 0.2 0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.3 0.0 0.0 0.1 0.3 -0.4 -0.2 -0.1 -0.1 0.2 0.1 0.0 0.0 0.0 -0.7 -3.2 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 0.1 -0.2 SOYBEAN -0.0 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.2 1.6 0.8 0.4 0.4 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -2.5 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 0.0 -0.3 -0.3 -0.2 SOYMEAL -0.2 -0.3 0.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.2 0.0 0.3 -0.0 0.0 0.9 0.7 0.3 0.4 0.0 0.1 0.0 0.2 -0.0 -2.8 -2.5 -0.0 0.0 0.1 0.0 0.1 -0.0 2.5 0.1 -0.4 -0.1 0.2 SOYOIL -0.0 -0.2 -0.3 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.1 -0.0 -0.3 -0.1 0.5 0.0 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.7 2.7 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.5 -0.0 -0.3 -0.3 -0.3 SP400 0.0 -0.3 0.0 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.2 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.1 2.4 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.4 -0.3 -0.2 SP500 0.2 -0.0 0.2 0.0 0.0 0.1 0.1 0.0 0.1 0.0 0.1 0.0 -0.2 0.0 0.1 -0.6 -0.2 -0.2 -0.1 0.1 0.0 0.0 -0.0 0.0 0.2 2.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.4 -0.0 0.1 0.1 0.0 SUGAR11 0.2 0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.3 0.1 0.3 1.1 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.3 -2.3 0.1 0.0 0.1 0.0 0.1 0.0 2.7 0.0 0.4 0.3 0.3 US10 0.2 0.3 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.3 0.0 0.2 -0.7 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.0 -0.3 2.3 0.0 0.0 0.0 0.0 -0.0 0.0 -1.3 0.0 0.0 0.1 0.0 US10U 0.1 0.3 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.3 0.0 0.2 -0.1 0.1 0.0 0.0 0.1 0.0 0.0 -0.1 0.0 -0.7 -2.9 0.1 0.0 0.0 0.0 -0.0 0.0 0.5 0.0 -0.0 0.1 0.1 US20 0.1 0.2 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 0.0 0.0 -0.2 0.1 0.2 -0.1 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 -0.3 -2.7 0.1 0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 -0.0 0.1 0.0 US30 0.1 0.2 0.2 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.0 0.0 -0.3 0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.2 0.0 -0.8 2.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.0 0.0 US5 0.2 0.3 0.3 0.0 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.3 0.0 0.2 -0.7 -0.2 -0.2 -0.2 0.1 0.0 0.0 -0.1 0.0 -0.1 2.4 0.0 0.0 0.0 0.0 -0.0 0.0 -1.5 0.0 0.0 0.1 0.0 VIX -0.1 1.0 0.0 -0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.4 -0.0 -0.5 -0.0 -0.2 -3.1 -1.6 -0.8 -0.8 -0.1 -0.2 -0.0 -0.2 -0.0 NaN -3.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 NaN NaN NaN NaN NaN WHEAT 0.0 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.2 -1.0 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.1 2.5 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.1 -0.3 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 4.3 -14.1 1.3 3.0 5.2 1.7 5.6 -0.9 4.9 -6.1 1.1 -5.4 -4.8 -8.4 -10.3 -3.3 -2.9 -3.4 -3.3 -6.9 -5.0 -3.0 -5.5 -5.1 10.2 11.7 -2.8 1.9 -2.4 1.2 -2.9 -0.9 -0.9 -11.3 -14.4 -20.0 -10.8 BITCOIN 11.9 10.0 20.0 3.8 4.7 2.5 5.6 1.8 5.4 11.2 13.1 14.8 -9.3 15.5 15.3 -3.9 -1.8 -3.2 -2.2 18.2 11.8 15.9 -1.7 18.3 2.7 -18.1 5.5 1.7 4.1 3.3 0.9 4.8 0.8 -20.0 -8.0 3.9 19.8 BOBL 6.0 20.0 20.0 3.2 1.2 0.7 3.2 -2.5 4.3 -9.9 -8.7 -6.4 -12.8 7.7 4.1 7.4 5.4 1.6 2.4 2.9 -5.2 -2.9 -13.6 4.3 11.4 10.8 2.5 0.4 -1.2 2.4 -5.8 3.9 8.4 -11.9 -5.6 -3.9 -7.5 BTP 3.8 7.4 12.9 3.2 1.2 0.7 3.2 -2.5 4.3 -11.8 4.5 -6.2 -8.8 9.3 8.2 8.1 12.0 8.8 10.7 6.8 2.5 -3.4 -9.1 4.8 -10.5 11.4 4.8 0.5 2.6 2.8 -3.7 4.5 20.0 -10.7 -11.3 -5.4 3.9 BUND 5.2 17.3 15.0 3.2 1.2 0.7 3.2 -2.5 4.3 -11.0 -9.1 -7.1 -13.0 7.0 1.5 6.5 13.3 8.7 10.8 2.1 -5.8 -3.4 -15.1 3.4 8.7 12.3 2.8 0.4 -0.9 2.5 -6.0 4.0 20.0 -10.6 -9.4 -4.9 -5.7 BUXL 1.2 13.9 7.4 3.2 1.2 0.7 3.2 -2.5 4.3 -12.6 -9.6 -10.2 -13.2 3.0 -4.4 2.0 0.8 2.5 2.6 -1.8 -8.3 -6.6 -16.6 -0.8 7.4 -10.8 1.5 -0.6 -1.9 1.2 -6.5 2.7 4.4 -11.4 -16.5 -9.3 -14.2 CAC 9.8 -14.0 12.4 2.4 2.4 2.1 4.4 1.0 3.8 14.0 14.5 15.2 11.7 12.1 12.6 16.2 1.8 3.2 0.9 11.5 15.3 18.4 14.6 13.2 -15.5 8.9 2.6 4.8 5.1 5.4 5.3 2.7 9.5 0.6 -10.7 1.6 6.1 CAD 20.0 -1.9 0.0 3.0 5.2 1.7 5.6 -0.9 4.9 7.9 -7.4 11.9 -10.1 6.9 0.1 -2.7 -1.8 -2.6 -2.3 1.0 -5.9 13.2 -10.8 10.0 17.1 10.4 0.8 6.1 -2.0 8.2 -4.0 5.5 0.9 6.2 6.9 -7.5 -6.6 CANOLA 10.8 -15.1 -19.3 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 -11.7 -9.6 5.8 -11.9 -5.6 -9.5 20.0 14.6 18.7 15.1 -20.0 -20.0 -5.6 -12.0 -14.1 16.5 13.2 -5.4 -1.8 -4.6 -2.3 -2.4 -4.1 12.1 -6.3 -20.0 -20.0 -20.0 CHF 14.5 0.8 6.1 3.0 5.2 1.7 5.6 -0.9 4.9 13.2 12.0 14.2 4.7 13.1 8.9 -13.3 -13.8 -13.9 -14.2 9.7 7.1 18.6 3.3 15.0 -6.5 -11.5 4.6 11.5 2.8 11.6 0.4 8.0 -19.6 20.0 2.6 8.5 1.3 COCOA 16.1 6.4 15.6 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 2.6 14.3 13.4 5.9 14.2 14.1 3.7 -1.3 2.0 0.6 18.6 16.3 10.3 9.4 17.0 -20.0 -10.4 5.9 1.1 5.3 3.9 3.4 5.5 -12.9 9.0 20.0 20.0 20.0 COFFEE 1.4 4.6 11.4 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 13.8 -4.7 13.4 -7.3 0.9 7.8 5.0 3.4 3.6 3.5 4.7 -1.4 19.7 -6.7 9.8 11.3 10.0 2.1 13.7 -0.5 12.4 -2.4 5.6 -6.0 20.0 18.8 8.9 15.5 COPPER 3.4 -7.7 13.5 3.8 4.7 2.5 5.6 1.8 5.4 1.4 8.7 5.3 -1.7 -1.0 2.6 -0.8 -0.5 -0.8 -0.8 2.2 6.5 1.0 3.5 -0.4 0.5 11.1 -0.6 4.5 1.5 2.2 1.8 -0.2 2.9 -20.0 -20.0 -20.0 -5.4 CORN 12.0 -15.5 -20.0 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 -12.0 -8.7 -5.3 -2.6 -10.7 -12.4 15.3 19.4 19.1 20.0 -14.8 -14.5 -8.0 -3.4 -9.6 11.9 11.0 -5.5 -6.0 -5.6 -5.3 -2.5 -4.4 20.0 -20.0 -3.3 -20.0 -20.0 COTTON2 9.2 -0.8 -1.8 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 -0.5 -10.0 9.5 -11.2 1.2 -4.4 -2.7 8.1 -2.7 0.8 -4.3 -9.6 4.2 -10.7 1.1 13.6 12.0 -2.0 2.9 -3.1 4.1 -1.4 1.2 -4.1 6.8 8.8 -3.7 -0.8 CRUDE_W 20.0 -1.3 -5.1 -1.1 4.5 -2.1 4.6 1.1 2.0 13.8 0.6 14.7 -2.1 10.7 3.3 9.0 11.3 8.4 9.1 3.0 -2.2 20.0 0.8 15.4 -9.2 10.8 1.0 8.1 -0.4 9.6 1.6 5.6 -2.1 20.0 20.0 3.4 3.7 DAX 7.5 -16.3 13.8 2.4 2.4 2.1 4.4 1.0 3.8 14.0 14.6 14.8 7.1 11.7 12.3 -6.6 -5.7 -7.8 -7.4 9.0 12.7 13.0 10.0 9.8 -19.0 9.9 2.6 3.9 5.4 4.8 4.4 2.5 -3.7 -2.4 -13.0 -1.0 4.3 DOW 19.3 -10.0 -3.0 2.4 2.4 2.1 4.4 1.0 3.8 13.1 6.5 14.8 1.0 5.3 -1.4 -7.1 -5.0 -7.1 -6.6 1.5 -0.6 18.4 0.2 12.2 -0.7 10.8 1.9 4.1 1.3 7.5 1.3 5.4 -2.5 7.0 2.3 -0.5 -11.0 EUR 14.7 -0.8 13.4 3.0 5.2 1.7 5.6 -0.9 4.9 9.4 11.5 13.0 -0.6 11.9 6.2 -6.2 -8.4 -7.2 -7.9 10.1 8.5 12.5 0.9 12.6 -11.9 -11.1 4.8 8.9 3.6 9.4 -0.3 7.2 -9.6 6.3 6.5 7.5 6.6 EUROSTX 9.9 -14.9 12.5 2.4 2.4 2.1 4.4 1.0 3.8 14.1 15.0 15.4 11.6 13.5 13.5 -1.5 5.3 3.7 5.0 11.1 14.5 15.2 12.9 12.3 -18.6 -8.5 3.1 3.9 5.8 5.2 5.6 3.2 16.4 -1.9 -8.9 1.1 3.4 FEEDCOW 9.4 18.6 16.5 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 14.0 12.3 14.8 8.5 14.7 14.0 -20.0 -20.0 -20.0 -20.0 20.0 17.7 20.0 9.6 20.0 -20.0 12.2 6.2 6.8 5.0 7.7 3.1 6.9 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL 7.6 -5.4 -10.5 -1.1 4.5 -2.1 4.6 1.1 2.0 5.4 -11.6 5.0 6.1 -4.5 -10.7 17.0 20.0 20.0 20.0 -7.5 -7.8 3.3 3.7 -1.6 1.4 -15.4 -3.4 2.6 -4.6 2.4 -0.3 -0.0 20.0 -3.6 -9.6 -4.8 -11.1 GASOILINE 20.0 3.3 4.4 -1.1 4.5 -2.1 4.6 1.1 2.0 14.1 5.9 15.3 2.5 12.3 9.6 20.0 13.7 13.7 9.8 9.5 4.7 20.0 7.4 18.7 -18.3 -13.1 3.7 7.8 3.1 10.0 5.5 7.0 -0.1 13.8 20.0 10.9 20.0 GAS_US -8.1 -4.8 -20.0 -1.1 4.5 -2.1 4.6 1.1 2.0 -4.9 -16.6 -12.6 -14.0 -14.9 -16.4 -20.0 -11.5 -20.0 -16.2 -20.0 -20.0 -10.9 -20.0 -18.5 17.0 -9.3 -6.4 -4.9 -6.6 -6.2 -3.2 -6.4 -20.0 -20.0 -20.0 -11.4 -20.0 GBP 15.9 7.2 10.0 3.0 5.2 1.7 5.6 -0.9 4.9 8.6 13.1 12.3 -1.1 13.5 10.3 -1.4 -1.9 -1.8 -2.0 11.6 7.0 12.2 -1.8 14.8 6.8 9.4 4.4 6.2 1.1 8.1 -3.5 7.3 1.0 4.0 6.4 12.6 -2.2 GOLD_micro 15.6 9.8 15.0 3.8 4.7 2.5 5.6 1.8 5.4 7.9 12.1 11.6 1.7 13.7 12.4 -10.7 -10.7 -11.5 -11.6 18.2 13.9 13.0 7.2 18.8 -2.9 -13.8 5.2 3.4 3.8 5.2 2.1 6.0 -15.2 -2.4 5.0 16.1 12.2 HEATOIL 8.7 -9.2 -12.2 -1.1 4.5 -2.1 4.6 1.1 2.0 10.3 -10.8 10.2 5.1 -2.4 -10.0 16.5 20.0 20.0 20.0 -8.2 -9.0 8.5 3.6 0.8 -5.6 -13.6 -2.8 3.5 -2.5 3.9 3.7 0.7 20.0 -0.7 -1.0 -8.0 -3.8 JPY 3.3 -3.0 4.7 3.0 5.2 1.7 5.6 -0.9 4.9 -10.2 5.8 -9.0 -6.6 2.6 -3.0 -14.9 -12.8 -14.4 -14.0 0.4 1.0 -8.8 -7.4 -2.6 2.2 9.9 2.0 1.5 1.0 1.9 -4.6 2.5 -18.5 -14.7 -8.9 -1.9 -1.7 LEANHOG -16.8 -20.0 -20.0 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 -13.6 -14.3 -15.3 -10.9 -15.4 -15.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -13.0 -20.0 20.0 -11.1 -6.1 -3.3 -5.1 -5.1 -3.0 -6.0 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 17.8 -7.4 5.5 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 14.0 12.2 14.9 9.1 12.3 10.5 20.0 -5.3 20.0 18.1 11.1 9.0 20.0 6.9 19.6 -20.0 12.0 3.7 9.1 3.6 10.4 3.6 6.7 -5.5 20.0 20.0 12.9 20.0 MXP 9.6 -9.2 3.7 3.0 5.2 1.7 5.6 -0.9 4.9 7.8 14.4 12.6 15.1 12.1 13.4 16.9 20.0 18.7 20.0 14.4 17.8 9.4 18.4 11.7 -20.0 9.7 5.1 1.7 7.4 2.5 7.8 3.4 20.0 -16.2 -6.4 14.2 20.0 NASDAQ 14.1 13.8 20.0 2.4 2.4 2.1 4.4 1.0 3.8 -10.0 5.3 6.8 -7.8 12.0 14.0 -7.9 -5.5 -7.3 -6.7 18.5 11.4 6.7 -1.6 16.7 -2.9 10.2 5.8 -1.7 4.5 1.7 1.7 4.8 -2.8 -12.0 8.2 20.0 18.0 NIKKEI 3.5 4.4 6.6 1.6 3.9 1.7 5.8 0.8 3.3 1.6 5.1 8.1 5.5 6.1 8.0 5.9 13.7 12.6 14.4 7.4 5.0 9.0 2.5 9.7 6.0 -9.4 3.3 -1.3 1.7 3.7 -0.0 4.1 20.0 -10.0 -11.0 13.1 -8.1 NZD 5.0 -7.1 3.1 3.0 5.2 1.7 5.6 -0.9 4.9 -10.0 7.4 -3.7 -1.4 0.5 -5.8 1.3 0.6 0.8 0.5 -1.6 -0.2 -4.5 -2.8 -1.5 2.1 10.8 -0.2 -2.3 -0.0 -0.5 -1.9 0.6 5.2 -15.9 -14.9 -8.5 -9.6 OAT 6.0 11.0 9.2 3.2 1.2 0.7 3.2 -2.5 4.3 -10.9 -8.2 -6.5 -12.8 7.3 -0.8 9.8 12.0 10.2 11.2 1.2 -5.9 -3.3 -14.7 3.0 5.7 12.7 2.5 0.9 -1.1 3.0 -6.9 4.1 20.0 -9.5 -9.6 -8.1 -7.3 OJ 19.7 3.5 -9.4 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 6.9 15.3 13.1 15.3 14.5 14.7 20.0 19.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.4 1.5 7.2 4.3 7.2 5.6 20.0 20.0 20.0 20.0 20.0 PALLAD 12.1 -3.6 -20.0 3.8 4.7 2.5 5.6 1.8 5.4 9.4 -14.9 6.6 -14.4 -2.8 -12.2 -2.5 -2.1 -2.6 -2.5 -15.3 -20.0 3.1 -20.0 -2.7 20.0 -11.1 -3.4 7.1 -6.4 6.2 -6.0 2.0 0.0 -5.0 -20.0 -20.0 -20.0 PLAT 8.4 3.4 -5.7 3.8 4.7 2.5 5.6 1.8 5.4 10.0 3.9 8.6 0.7 10.7 -2.4 -2.5 -1.4 -2.2 -1.8 2.5 1.2 8.8 1.4 7.1 1.5 11.2 0.9 9.0 -0.1 8.4 0.0 5.0 1.3 1.8 -18.5 -10.2 -17.0 REDWHEAT 20.0 0.4 -3.6 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 -8.0 -8.4 10.0 -10.9 6.2 3.2 15.2 5.5 11.6 8.9 1.6 -6.8 5.2 -7.3 8.0 -2.1 12.9 0.3 -4.8 -1.5 -1.2 -0.1 1.7 -0.2 -11.1 19.4 -2.7 1.7 ROBUSTA 18.5 13.6 20.0 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 14.0 8.3 15.5 3.9 15.1 14.8 12.9 9.8 10.7 10.5 20.0 16.6 20.0 8.5 20.0 -7.3 9.6 5.7 5.4 3.8 7.8 1.8 6.9 5.1 20.0 20.0 20.0 20.0 RUSSELL -2.0 -20.0 3.1 2.4 2.4 2.1 4.4 1.0 3.8 0.7 -4.9 2.7 -9.1 -10.8 -10.8 -5.1 -4.2 -5.4 -5.2 -11.1 -6.9 -0.2 -5.9 -8.2 4.4 10.0 -3.0 -1.7 -0.7 -2.2 -0.0 -3.6 -0.6 -20.0 -20.0 -20.0 -10.4 SILVER-mini 20.0 10.4 2.1 3.8 4.7 2.5 5.6 1.8 5.4 13.8 9.5 15.5 0.2 14.9 9.8 -5.8 -4.8 -5.7 -5.5 17.4 8.5 20.0 3.0 20.0 -3.4 -11.3 3.8 5.8 1.5 8.3 0.0 7.3 -4.8 17.5 19.6 5.9 -9.3 SOYBEAN -0.1 -17.6 -16.3 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 -7.5 -4.2 4.9 -0.9 -4.7 -7.3 20.0 20.0 20.0 20.0 -13.2 -9.8 -1.9 -1.7 -8.7 -1.3 -11.7 -4.6 -0.6 -3.0 -0.9 0.3 -3.2 20.0 10.2 -19.0 -20.0 -16.9 SOYMEAL -16.8 -20.0 6.8 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 4.8 10.4 2.0 12.4 -3.7 0.5 10.7 17.7 16.1 17.8 0.3 10.9 0.6 16.1 -4.5 -20.0 -12.0 -0.8 3.8 4.2 1.0 8.1 -2.2 18.5 11.3 -20.0 -10.1 13.8 SOYOIL -3.7 -15.2 -20.0 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 -12.5 -11.0 -3.1 -3.0 -8.8 -11.5 -1.4 11.9 1.2 5.8 -18.6 -15.9 -9.8 -5.6 -14.6 5.1 12.9 -5.7 -2.7 -4.7 -3.0 -1.3 -4.5 3.5 -4.1 -15.3 -20.0 -20.0 SP400 2.3 -20.0 2.6 2.4 2.4 2.1 4.4 1.0 3.8 3.4 1.6 7.9 -1.7 -6.4 -7.6 -4.6 -4.0 -5.2 -4.8 -7.6 -2.9 4.5 -0.3 -3.8 0.6 10.2 -2.6 -0.8 -0.3 -0.9 1.0 -2.6 -0.0 -18.2 -20.0 -20.0 -11.1 SP500 16.3 -2.3 8.5 2.4 2.4 2.1 4.4 1.0 3.8 2.9 3.9 12.3 -5.9 8.3 6.0 -7.7 -5.8 -7.4 -6.9 6.7 2.7 12.0 -2.2 12.1 1.6 10.2 4.1 0.6 2.9 4.9 0.6 5.6 -3.2 -3.3 2.5 4.3 0.1 SUGAR11 20.0 16.7 15.4 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 10.9 15.4 14.6 12.9 15.6 15.9 13.9 20.0 20.0 20.0 20.0 20.0 20.0 16.0 20.0 -20.0 -10.5 6.2 7.1 5.5 10.1 4.5 8.3 20.0 20.0 20.0 20.0 20.0 US10 14.4 18.5 16.9 3.2 1.2 0.7 3.2 -2.5 4.3 3.6 -1.1 7.5 -10.5 12.5 9.6 -8.7 -4.5 -8.5 -7.7 9.3 0.7 7.5 -10.1 12.6 -2.3 9.7 4.4 3.2 1.5 5.1 -2.3 5.7 -9.3 6.5 1.8 9.0 2.4 US10U 13.0 16.8 15.6 3.2 1.2 0.7 3.2 -2.5 4.3 2.4 -1.0 7.1 -10.4 12.3 9.7 -1.3 2.3 0.0 0.6 8.8 0.5 6.9 -10.6 11.9 -5.1 -14.1 4.7 2.9 2.1 5.0 -1.7 5.8 3.7 5.8 -1.1 7.7 5.0 US20 12.3 15.9 15.4 3.2 1.2 0.7 3.2 -2.5 4.3 3.1 0.9 6.9 -9.0 12.8 10.4 -0.7 -1.5 -2.7 -2.9 9.4 1.1 8.2 -10.3 12.8 -2.5 -12.3 4.5 2.7 1.7 5.2 -2.0 5.9 -2.5 7.8 -3.4 6.2 1.6 US30 7.9 10.7 12.5 3.2 1.2 0.7 3.2 -2.5 4.3 2.0 0.7 6.3 -10.5 11.0 5.9 -0.7 -0.5 -0.9 -1.0 5.8 -1.1 5.5 -13.4 8.4 -6.7 10.0 4.7 3.3 2.1 5.8 -2.6 6.0 -0.0 6.0 -9.1 -0.5 1.4 US5 14.2 20.0 20.0 3.2 1.2 0.7 3.2 -2.5 4.3 3.7 -1.3 7.4 -10.8 12.4 9.7 -8.7 -5.0 -9.3 -8.5 9.0 0.5 7.0 -9.8 12.3 -0.5 10.8 4.0 2.9 1.1 4.6 -2.9 5.4 -10.5 5.4 2.0 9.0 0.5 VIX -6.5 20.0 0.0 -2.6 -1.3 -5.7 -1.7 -6.7 -1.2 -14.0 -12.2 -14.5 -13.1 -6.0 -7.3 -20.0 -20.0 -20.0 -20.0 -5.2 -9.9 -9.1 -12.6 -6.0 NaN -13.5 -2.9 -1.7 -7.2 -2.3 -9.1 -1.3 NaN NaN NaN NaN NaN WHEAT 4.7 -10.6 -11.7 -2.8 -0.3 -3.4 -0.9 -2.4 -1.8 -12.9 -13.7 -3.7 -14.6 -10.7 -10.8 -12.9 -8.4 -11.8 -10.4 -15.4 -19.7 -10.8 -17.1 -11.1 7.6 11.9 -5.0 -5.3 -4.9 -5.3 -2.7 -4.5 -20.0 -19.8 -7.3 -20.0 -10.3 End of report for caleb_strategy_v1